Dynamic linkages of Asian stock markets

An analysis of pre-liberalization and post-liberalization eras

Ahmad Zubaidi Baharumshah, Tamat Sarmidi, Hui Boon Tan

Research output: Contribution to journalArticle

20 Citations (Scopus)

Abstract

This study examines the dynamic interrelationship among the major stock markets and in the four Asian markets (Malaysia, Thailand, Taiwan and South Korea), both in the short run and in the long run. To investigate the impact of financial reforms and the Asian financial crisis on these markets, we split the sample into three sub-periods: pre-liberalization (1988-91), post-liberalization (1992-96) and post-crisis (1997-99) periods. The empirical results suggest that all the Asian markets are closely linked with each other and with the world capital markets, namely those of the US and Japan, over the post-liberalization era. Overall, the evidence shows that the degree of integration between the Asian emerging markets and the US increased following the deregulation period, and that the relationship has intensified since the onset of the Asian crisis. There is no evidence to show that Japan has overtaken the US in dominating the Asian equity markets. In addition, our results show that the interrelationship among the Asian national markets has been affected by the crisis. Specifically, the crisis-affected countries of Malaysia and Thailand are increasingly interrelated with South Korea and Taiwan in the post-crash period.

Original languageEnglish
Pages (from-to)180-209
Number of pages30
JournalJournal of the Asia Pacific Economy
Volume8
Issue number2
DOIs
Publication statusPublished - 2003

Fingerprint

stock market
liberalization
market
South Korea
Thailand
Malaysia
Taiwan
Japan
financial reform
capital market
world market
deregulation
financial crisis
equity
evidence
analysis

Keywords

  • Cointegration
  • Financial crisis
  • Integration
  • Stock markets

ASJC Scopus subject areas

  • Geography, Planning and Development
  • Development
  • Political Science and International Relations

Cite this

Dynamic linkages of Asian stock markets : An analysis of pre-liberalization and post-liberalization eras. / Baharumshah, Ahmad Zubaidi; Sarmidi, Tamat; Tan, Hui Boon.

In: Journal of the Asia Pacific Economy, Vol. 8, No. 2, 2003, p. 180-209.

Research output: Contribution to journalArticle

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